Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0129
Annualized Std Dev 0.2050
Annualized Sharpe (Rf=0%) 0.0631

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1601
Quartile 1 -0.0038
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0048
Maximum 0.2540
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0129
Skewness 0.2030
Kurtosis 52.2921

Downside Risk

Close
Semi Deviation 0.0095
Gain Deviation 0.0102
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0138
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.5811
Historical VaR (95%) -0.0153
Historical ES (95%) -0.0314
Modified VaR (95%) -0.0067
Modified ES (95%) -0.0067
From Trough To Depth Length To Trough Recovery
2007-06-05 2008-11-21 2010-03-29 -0.5811 710 373 337
2013-03-11 2020-03-23 NA -0.5659 2023 1772 NA
2004-01-26 2004-05-10 2006-10-11 -0.2659 685 74 611
2001-07-02 2002-08-06 2003-04-01 -0.2354 437 273 164
1999-05-05 2000-12-04 2001-06-08 -0.2249 530 402 128

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.7 0.7 1.3 0.6 -0.6 -0.6 -0.7 -1.3 0 -0.7 -1.4 0 -2.1
2000 1.4 -0.7 1.4 0 1.5 0 1.4 1.4 0.7 -2.2 0 0.7 5.6
2001 -0.2 0.3 0 0.2 0.3 0.1 -1.8 0.6 0.5 -0.5 0.6 0.2 0.3
2002 0.3 -0.1 -0.2 -0.6 0.1 1.9 -0.2 0.4 1.1 0.4 0.1 -0.8 2.5
2003 0 0.4 0.9 1.1 0.5 -0.3 -2.9 0.5 -0.9 0.2 0.5 -0.2 -0.2
2004 -0.7 0.3 1 -0.5 0.5 -0.1 1.1 -1.1 -0.1 0.2 -0.4 0.7 1
2005 0.2 -0.2 -0.5 -0.3 -0.2 0.6 0.1 0.6 0.4 0.1 -0.2 1 1.6
2006 -0.3 -1.3 0 0.2 0.1 -0.2 0.1 0.2 -0.2 -0.4 0.1 0 -1.9
2007 -0.3 -1 -0.1 -0.1 -0.1 0.2 -2.6 1 0.5 0.4 0.5 0.6 -1
2008 0.5 0.1 1.9 0.2 -0.4 -2.4 1.3 1 2.2 0.6 -4.6 0.1 0.3
2009 -0.5 -3.3 0.7 2.8 2.8 1.4 0.3 0.1 -0.5 -3.3 1.1 0.2 1.6
2010 1.2 1.3 0.8 -1 -0.2 -1.8 0 -0.6 1 0.9 -0.8 0.9 1.6
2011 0.6 0.5 0.5 -0.1 -0.7 -0.1 3 0 -4.4 -0.9 -0.6 -0.6 -2.9
2012 0 0.9 -0.7 0.3 -1.3 -0.1 -1.3 -0.1 1.2 0.4 -0.2 -0.6 -1.4
2013 0.5 0.8 0.4 -0.5 -3.7 -0.6 -0.5 0.2 -0.1 0.3 0.5 -1.2 -4
2014 0.3 -0.3 -0.1 0.3 0.8 -0.3 -0.2 0.5 -0.3 0.7 -0.6 0.9 1.7
2015 -0.2 0.2 0.2 0.3 0.1 -0.3 0.7 0.2 -0.8 1.1 0.3 0.5 2.1
2016 0.1 0.8 0.4 0.3 -0.7 0.4 -0.1 -0.1 -0.4 -0.1 -0.2 0.2 0.7
2017 0 -0.4 -0.2 -0.1 0.9 0.9 0 0.3 0.4 0.5 2.1 -0.2 4.3
2018 -0.2 -0.4 0.3 0.4 0.3 -0.2 -0.2 0.7 0.4 -0.4 -0.2 -0.8 -0.1
2019 0.3 0.1 0.6 0.1 -1.5 0.6 -0.4 -0.8 -0.3 0.6 -0.2 0.3 -0.7
2020 -0.5 -2.5 -2.6 -1 0.9 1.2 0.4 0.5 -0.2 -0.3 0.5 -0.1 -3.7
2021 0.2 0.9 0.7 NA NA NA NA NA NA NA NA NA 1.7

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart